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To be honest, I'm not very fond of Windows Media Player and I don't use it to download music to my Zen.First, I would make sure that your Zen even shows up under My Computer.It should show up in the 'Other' category.If it's not there, then I'd unplug it from your computer, restart your computer and plug it in after your computer is up and running.If you plug it in at this point and it still doesn't show up then I don't know what's wrong.

Do you have the Creative Media Explorer software loaded on your computer? This is the software on the CD that came with your player.This is probably the best software to use for transferring files onto your Zen.

You know you can also use Windows Explorer to transfer files to your player? Find your music, select it and right-click it.There's a "Copy to Creative Zen->Media Device" menu option that works.It works on unprotected iTunes music too.